Parsimony inducing priors for large scale state–space models-Reference-Cited by-同舟云学术

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Parsimony inducing priors for large scale state–space models

Published:2021-11 Issue: Volume: Page:
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Lopes Hedibert F.,McCulloch Robert E.,Tsay Ruey S.

Funder

FAPESP

CNPq

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference50 articles.

1. Bayesian dynamic factor models and portfolio allocation;Aguilar;J. Bus. Econom. Statist.,2000

2. The structure of dynamic correlations in multivariate stochastic volatility models;Asai;J. Econometrics,2009

3. Multivariate stochastic volatility: a review;Asai;Econometric Rev.,2006

4. Volatility models;Bauwens,2012

5. Hierarchical shrinkage in time-varying parameter models;Belmonte;J. Forecast.,2014

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